Need help with Wavelet Coherence(CWT)

Hey guys,

I'm a finance student so I'm pretty new to all this. I have data and matlab code which I do not understand. Data contains returns from two financial instruments for each day (2012-2018).

This is the code I need to use (from Matlab website):

[wcoh,~,P,coi] = wcoherence(NIRSData(:,1),NIRSData(:,2),1/10,'dt',... 'numscales',16); helperPlotCoherence(wcoh,tm,P,coi,'Time (secs)','Periods (Seconds)');

This is the data I have: https://drive.google.com/open?id=1cIaoX8ch2HIuz01cIxXr5Ha-HbP30xNj

And this is what I should get (it's an example with different variables): https://imgur.com/a/K1dRT

Example's settings: The horizontal axis represents the time in terms of number of trading days while the vertical axis refers to the investment horizon (from scale 1 (2-4 days) up to scale 7 (256 days)).

Thanks in advance! :)

Answer 1

[Abhishek Ballaney]

https://in.mathworks.com/help/wavelet/ref/wcoherence.html

[economystudent1]

Hey,

Yes, I've seen that but I do not understand it. I'm pretty new to MatLab sorry.

Here is the complete Paper I'm referring to as an example(CWT, page 16-19): https://drive.google.com/open?id=1j43AaWtHUXv5cdJRNh-e3qFhlK1RqSjR